| Close | |
|---|---|
| Annualized Return | -0.0131 |
| Annualized Std Dev | 0.2869 |
| Annualized Sharpe (Rf=0%) | -0.0458 |
| Close | |
|---|---|
| Observations | 4674.0000 |
| NAs | 1.0000 |
| Minimum | -0.3118 |
| Quartile 1 | -0.0037 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0048 |
| Maximum | 0.3802 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0003 |
| Stdev | 0.0181 |
| Skewness | 1.9816 |
| Kurtosis | 103.5385 |
| Close | |
|---|---|
| Semi Deviation | 0.0124 |
| Gain Deviation | 0.0165 |
| Loss Deviation | 0.0163 |
| Downside Deviation (MAR=210%) | 0.0162 |
| Downside Deviation (Rf=0%) | 0.0123 |
| Downside Deviation (0%) | 0.0123 |
| Maximum Drawdown | 0.7496 |
| Historical VaR (95%) | -0.0167 |
| Historical ES (95%) | -0.0388 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | NA |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-03-17 | 2009-03-09 | NA | -0.7496 | 4283 | 1253 | NA |
| 2002-08-30 | 2002-10-09 | 2003-01-15 | -0.0855 | 95 | 28 | 67 |
| 2003-06-30 | 2003-08-01 | 2003-12-17 | -0.0800 | 120 | 24 | 96 |
| 2003-02-06 | 2003-03-25 | 2003-05-29 | -0.0544 | 78 | 33 | 45 |
| 2004-01-15 | 2004-02-24 | 2004-03-12 | -0.0484 | 40 | 27 | 13 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | NA | NA | NA | NA | NA | NA | -0.2 | -0.1 | 1.2 | -0.8 | 0 | 0.1 |
| 2003 | -0.1 | 0.1 | 0.1 | -0.1 | 0.1 | 0.4 | -1.1 | 0.2 | 0.7 | -0.3 | 0.2 | -0.3 | 0 |
| 2004 | 1.2 | 0.2 | 0.4 | 1.2 | 0.9 | 1.3 | 0.6 | 0 | -0.2 | 0.2 | 0.5 | 0.3 | 6.7 |
| 2005 | 0.4 | 1.5 | 0.4 | -0.3 | 0 | 0.3 | -0.1 | -0.2 | 0.3 | -0.2 | 0.8 | 1.2 | 4.1 |
| 2006 | 0.3 | 0.6 | -0.1 | 0.4 | 0.3 | 0.6 | 0.4 | 0.6 | -0.4 | 0.4 | -0.3 | 0.3 | 3.2 |
| 2007 | -0.1 | -0.4 | 0.2 | 0.4 | -0.2 | 0.4 | 1.3 | 0.4 | -0.3 | -0.3 | 3.5 | 0.6 | 5.5 |
| 2008 | 1 | -1.7 | 4 | 0.3 | 0.4 | -1.8 | 1.4 | 1.6 | 7.9 | 4.5 | -4.9 | -1.7 | 11 |
| 2009 | -0.9 | -3.5 | -1.2 | 2.6 | 2.3 | 0.5 | 0.7 | -1.4 | -0.9 | -1.7 | 1.2 | 0.5 | -2.2 |
| 2010 | 1.6 | 1 | 0.3 | -0.9 | -0.9 | 0.5 | -0.1 | 0.4 | 0 | 0.1 | 0.9 | 0.3 | 3 |
| 2011 | 0.8 | -0.3 | 0.1 | 0.5 | 0.3 | 0.9 | 2.6 | -1.1 | -2.9 | -1.1 | -1 | -0.4 | -1.8 |
| 2012 | 0.4 | 0.5 | -0.6 | -0.1 | -1.4 | -1.8 | 0.2 | -0.6 | -0.3 | 0.3 | 0 | 1.4 | -2.1 |
| 2013 | 0.5 | -0.1 | -0.6 | 0.1 | -3.4 | 0.7 | -1.5 | 0.1 | -0.5 | -0.9 | 0.8 | -0.6 | -5.3 |
| 2014 | 0.2 | -0.8 | 0.4 | 0.8 | 0.2 | -0.1 | 0.1 | 0.6 | -0.5 | 0.3 | -1.4 | -0.9 | -1.1 |
| 2015 | 0 | 0.2 | 0.5 | -0.2 | -0.3 | 0.1 | 0.5 | -0.6 | -0.6 | 0.4 | 0.6 | 0 | 0.5 |
| 2016 | 0.7 | -0.3 | -3.4 | 0.6 | 0.8 | 0.1 | 0.2 | 0.5 | 0.8 | -0.6 | -0.7 | 0.4 | -0.9 |
| 2017 | -0.1 | 0 | 0.7 | 0.1 | 0.3 | 0.1 | 0.3 | 0.6 | -0.2 | 0.5 | 0.4 | 0.2 | 2.9 |
| 2018 | -0.3 | 0 | 0.4 | 0.7 | 0.9 | 1.4 | 0 | 0.8 | -0.7 | 1.1 | 0.4 | 2.1 | 6.8 |
| 2019 | 0.6 | 0 | 0 | 0.6 | 0 | -0.2 | -0.5 | -0.6 | 0.7 | 0.4 | 0.2 | 0.6 | 1.9 |
| 2020 | -0.5 | -4.7 | -11.4 | -2.8 | 1.6 | 0.2 | 1.1 | -0.3 | 0.3 | -0.6 | 0.6 | 0.5 | -15.7 |
| 2021 | 0.6 | 0.4 | 0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.6 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2002-08-23 25 SPY 94.6 -0.0215 0.0148 0.126 -0.130 -0.190 -0.286 NA <NA> NA NA NA
2 2002-08-26 25.2 SPY 95.3 0.007 -0.0015 0.113 -0.119 -0.192 -0.289 NA <NA> NA NA NA
3 2002-08-27 25.0 SPY 94.2 -0.0115 -0.00240 0.0489 -0.122 -0.187 -0.31 NA <NA> NA NA NA
4 2002-08-28 25.1 SPY 92.1 -0.0219 -0.0381 0.0128 -0.139 -0.213 -0.328 NA <NA> NA NA NA
5 2002-08-29 25.2 SPY 92.1 0.0004 -0.047 0.0108 -0.141 -0.210 -0.334 NA <NA> NA NA NA
6 2002-08-30 25.1 SPY 91.8 -0.0039 -0.0298 0.0338 -0.121 -0.229 -0.329 NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>